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Regularized Linear Discriminant Analysis Using a Nonlinear Covariance Matrix Estimator
The consistent estimator, coupled with a one-dimensional grid search, is used to set the value of the regularization parameter required for the proposed NL-RLDA classifier.
Portfolio Optimization Using a Consistent Vector-Based MSE Estimation Approach
In a high-dimensional setting, it is well known that the sample covariance matrix is not a proper estimator of the true covariance matrix since it is not invertible when we have fewer observations than the data dimension.
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